Fast poisson and binomial algorithms for correlationinduction**This research is partially supported by the Office of Naval Research contract N00014-7942-0832 through Purdue University$ef:

DOI10.1080/00949658808811048zbMath0715.65006OpenAlexW2092868802MaRDI QIDQ3201632

Shiow-Wen J. Cheng, Voratas Kachitvichyanukul, Bruce W. Schmeiser

Publication date: 1988

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949658808811048

zbMATH Keywords

correlationsimulationMonte Carlo methodnumerical stabilityvariance reductionrandom variate generationantithetic variatesinverse transformationacceptance/rejectionfast binomial algorithmfast Poisson algorithmoptimal correlation induction

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Probabilistic methods, stochastic differential equations (65C99)

Related Items (4)

A method to generate autocorrelated uniform random numbers ⋮ The generation of binomial random variates ⋮ Noninverse correlation induction: Guidelines for algorithm development ⋮ On the effect of inducted negative correlation rate for beta acceptance–rejection algorithms

Cites Work

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• The computer generation of Poisson random variables
• Some Simple Gamma Variate Generators
• Beta Variate Generation via Exponential Majorizing Functions
• Squeeze Methods for Generating Gamma Variates
• Generating gamma variates by a modified rejection technique
• Computer Generation of Normal Random Variables
• Generating beta variates with nonintegral shape parameters

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